Not entirely sure how exactly this incident came to be, but I will tell you what I know.

I know I had bought a horse in Solitude, and on the ride back to Whiterun had to fight off a bandit camp (can't remember it's name right now), once that was finished I hopped aboard my horse and rode off a little, quicksaved as I do after every encounter. (Incase it crashes, don't have to do any re-fights)
Anyway, came off the game a bit, reloaded my quicksave to continue playing and saw what is in the pictures.

http://imageshack.us/photo/my-images/6/tesv2012041514161823.jpg/
http://imageshack.us/photo/my-images/13/tesv2012041514194368.jpg/

Silly cow! ^^

There's a mod that can get your follower to ride a horse naturally, and one where you can get them to ride on the back of your horse.

Ahhhh, maybe that's what caused that then, I have UFO which has mounted followers in it, so I guess Lydia tried to ride my horse on load, hence that weirdness haha.

Can you link me to the mod where the follower rides on the back? (I was thinking of whether that is possible or not)

Yes, UFO followers will ride your horse (after you get off it) if they don't have their own. It's quite annoying sometimes. Hopefully will get fixed on a future revision.

Looks like hot girl-on-girl-on-horse action to me.

Been using UFO since it first hit the Nexus, this is the first horse/follower "glitch" I have seen so far.

Well, if you discount my first horse on this character, I bought a horse and Lydia had no horse to hop on, so I thought meh, she can walk a bit and I'll sort her a horse out later, well, I guess she thought I was going to forget or something, because I rode off east from Whiterun towards Valtheim tower, looked back and realised Lydia wasn't keeping up well haha, waited a bit, still no Lydia. She had plenty of time to catch up by this point. So I decided to backtrack and look for her incase she got stuck on a rock or something stupid, half way on my ride back I see her charging towards me with a horse. Where that horse came from, I never will know. I split my sides though.

Again with mods. Things that should have been in the game to begin with.